Option Pricing Based on Geometric Stable Processes and Minimal Entropy Martingale Measures

Yoshio Miyahara and Naruhiko Moriwaki
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Yoshio Miyahara: Graduate School of Economics, Nagoya City University, Japan
Naruhiko Moriwaki: MTEC (Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd.), Japan

Chapter 7 in Recent Advances in Financial Engineering, 2009, pp 119-133 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe objective of this paper is to introduce the [GSP & MEMM] (geometric stable processes and minimal entropy martingale measure) pricing model and show its advantages for pricing options with its fat tailed property. As the result of empirical analysis the good fitness of the [GSP & MEMM] pricing model is shown to the currency options.

Keywords: Financial Engineering; Mathematical Finance; Real Options; Credit Risk; Option Pricing; Transaction Cost; Market Microstructure (search for similar items in EconPapers)
Date: 2009
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